This dashboard is based on the work of trendEcon
The indicator for Perceived Economic Situation includes search terms that reflect people’s worries about the economy. For instance, people then google “economic crisis” (Wirtschaftskrise).
The category Clothing and Shoes includes clothing and shoe stores as well as a general search terms related to buying clothes and shoes. trendEcon found that people directly google for the brands they like. Note: the searchword “zalando” was not included because Zalando was not available in Austria before 2012.
The category Home Office combine Google inquiries related to the new normal of working from home. The working-from-home-index contains the search terms:
The category Gardening and Home Improvement includes stores selling materials for home improvement such as building materials, garden accessories and electrical supplies.
The category Food Delivery includes search terms related to take away and ordering pizza.
The category Cultural Events includes search terms related to concerts, theatres, cinema and ticket providers for such events.
The category Travel Abroad includes search terms used to book flights and holidays.
The category Mobility includes search terms related to ground transportation: For instance, checking the railway schedule or calling a taxi.
The category Watches and Jewellery includes stores and brands selling luxurious watches and jewellery goods and related, more general search terms for luxury consumer goods.
How well does the indicator coincide with the consumer confidence index and with GDP (quarterly data).
\[\mathbf{x_t^{AT}} = [ PES_t^{AT}, u_t^{AT}, P_t^{AT}] \]
Vector Autoregressive Model with 6 lags
|
dependent variables: pes, une, cpi |
|||
| pes | une | cpi | |
| (1) | (2) | (3) | |
| pest-1 | 0.429*** | -0.158*** | 0.006 |
| (0.082) | (0.059) | (0.047) | |
|
Δ unet-1 |
0.013 | -0.129 | -0.035 |
| (0.112) | (0.080) | (0.064) | |
| cpit-1 | -0.068 | 0.075 | 0.062 |
| (0.126) | (0.091) | (0.073) | |
| pest-2 | 0.028 | -0.158** | -0.014 |
| (0.090) | (0.065) | (0.052) | |
|
Δ unet-2 |
-0.143 | 0.110 | 0.097 |
| (0.112) | (0.080) | (0.064) | |
| cpit-2 | 0.083 | 0.043 | -0.147** |
| (0.127) | (0.091) | (0.073) | |
| pest-3 | 0.074 | -0.040 | 0.001 |
| (0.092) | (0.066) | (0.053) | |
|
Δ unet-3 |
0.005 | -0.080 | -0.015 |
| (0.111) | (0.079) | (0.063) | |
| cpit-3 | 0.041 | 0.047 | 0.064 |
| (0.125) | (0.090) | (0.072) | |
| pest-4 | -0.006 | 0.242*** | -0.003 |
| (0.091) | (0.065) | (0.052) | |
|
Δ unet-4 |
0.073 | -0.157** | -0.009 |
| (0.111) | (0.079) | (0.064) | |
| cpit-4 | 0.036 | 0.054 | -0.221*** |
| (0.125) | (0.089) | (0.072) | |
| pest-5 | 0.017 | 0.064 | 0.024 |
| (0.093) | (0.066) | (0.053) | |
|
Δ unet-5 |
-0.099 | -0.241*** | -0.067 |
| (0.112) | (0.080) | (0.064) | |
| cpit-5 | -0.052 | 0.074 | 0.022 |
| (0.129) | (0.093) | (0.074) | |
| pest-6 | 0.072 | -0.108* | -0.050 |
| (0.088) | (0.063) | (0.050) | |
|
Δ unet-6 |
0.014 | 0.026 | 0.028 |
| (0.113) | (0.081) | (0.065) | |
| cpit-6 | -0.065 | 0.068 | 0.483*** |
| (0.131) | (0.093) | (0.075) | |
| constant | -0.003 | -0.054 | 0.129*** |
| (0.077) | (0.055) | (0.044) | |
| Observations | 169 | 169 | 169 |
| R2 | 0.274 | 0.267 | 0.389 |
| Adjusted R2 | 0.187 | 0.179 | 0.316 |
| Residual Std. Error (df = 150) | 0.568 | 0.407 | 0.326 |
| F Statistic (df = 18; 150) | 3.142*** | 3.035*** | 5.308*** |
| Note: | p<0.1; p<0.05; p<0.01 | ||
pes - Perceived Economic Situation (Nowcasting proxy for GDP)
Dune - Unemployment rate I(2)
cpi - Inflation rate year-on-year
all variables are on a monthly frequency
(p.value threshold = 0.05)
multivariate test for serially correlated errors (Portmanteau- and Breusch-Godfrey): H0 of no serial correlation: accepted p = 0.13
multivariate Jarque-Bera tests:
H0 of Normality: rejected p = 0
H0 of Skewness = 0: rejected p = 0
H0 of Kurtosis (excess curtosis = 0): rejected p = 0
multivariate ARCH-LM test:
H0 of homoskedasticity: rejected p = 0.04
pes Forecast accuracy:
| ME | RMSE | MAE | MPE | MAPE | MASE | ACF1 | Theil’s U | |
|---|---|---|---|---|---|---|---|---|
| Training set | 0.000 | 0.304 | 0.234 | NaN | Inf | 1.095 | 0.026 | NA |
| Test set | -0.027 | 0.360 | 0.308 | 378.572 | 454.279 | 1.445 | -0.393 | 3.031 |
Dune Forecast accuracy:
| ME | RMSE | MAE | MPE | MAPE | MASE | ACF1 | Theil’s U | |
|---|---|---|---|---|---|---|---|---|
| Training set | 0.00 | 0.304 | 0.234 | NaN | Inf | 1.095 | 0.026 | NA |
| Test set | -0.55 | 0.951 | 0.855 | 71.979 | 71.979 | 4.006 | -0.009 | 0.341 |
cpi Forecast accuracy :
| ME | RMSE | MAE | MPE | MAPE | MASE | ACF1 | Theil’s U | |
|---|---|---|---|---|---|---|---|---|
| Training set | 0.00 | 0.304 | 0.234 | NaN | Inf | 1.095 | 0.026 | NA |
| Test set | 0.37 | 0.505 | 0.417 | 95.16 | 111.111 | 1.956 | -0.448 | 4.298 |
pes Forecast accuracy:
| ME | RMSE | MAE | MPE | MAPE | MASE | ACF1 | |
|---|---|---|---|---|---|---|---|
| Training set | 0.000 | 0.308 | 0.236 | NaN | Inf | 1.087 | 0.007 |
| Test set | -0.396 | 0.396 | 0.396 | 295.337 | 295.337 | 1.828 | NA |
Dune Forecast accuracy:
| ME | RMSE | MAE | MPE | MAPE | MASE | ACF1 | |
|---|---|---|---|---|---|---|---|
| Training set | 0.000 | 0.308 | 0.236 | NaN | Inf | 1.087 | 0.007 |
| Test set | 0.564 | 0.564 | 0.564 | 68.274 | 68.274 | 2.601 | NA |
cpi Forecast accuracy :
| ME | RMSE | MAE | MPE | MAPE | MASE | ACF1 | |
|---|---|---|---|---|---|---|---|
| Training set | 0.000 | 0.308 | 0.236 | NaN | Inf | 1.087 | 0.007 |
| Test set | 0.035 | 0.035 | 0.035 | 11.81 | 11.81 | 0.162 | NA |
pes Forecast accuracy:
| ME | RMSE | MAE | MPE | MAPE | MASE | ACF1 | Theil’s U | |
|---|---|---|---|---|---|---|---|---|
| Training set | 0.000 | 0.292 | 0.228 | NaN | Inf | 1.102 | 0.027 | NA |
| Test set | -0.322 | 0.558 | 0.473 | 541.772 | 541.772 | 2.290 | -0.446 | 4.177 |
Dune Forecast accuracy:
| ME | RMSE | MAE | MPE | MAPE | MASE | ACF1 | Theil’s U | |
|---|---|---|---|---|---|---|---|---|
| Training set | 0.000 | 0.292 | 0.228 | NaN | Inf | 1.102 | 0.027 | NA |
| Test set | -0.807 | 1.018 | 0.899 | 115.311 | 115.311 | 4.348 | 0.081 | 1.482 |
cpi Forecast accuracy :
| ME | RMSE | MAE | MPE | MAPE | MASE | ACF1 | Theil’s U | |
|---|---|---|---|---|---|---|---|---|
| Training set | 0.000 | 0.292 | 0.228 | NaN | Inf | 1.102 | 0.027 | NA |
| Test set | 0.206 | 0.620 | 0.472 | 126.729 | 163.606 | 2.282 | -0.586 | 0.714 |